All Fx

P&L Summary

Range Return Sharpe Win% Ave Ave+ Ave- Max- Underwater Days %
20 1 1.3 55 0 5 (5) (14) 0 100
60 3 1.5 56 1 8 (8) (32) (1) 98
120 5 2 55 1 10 (8) (32) (1) 96
250 10 2.7 57 4 16 (11) (97) (2) 98
500 11 3.1 57 4 17 (11) (97) (2) 98
760 14 4 57 5 18 (10) (97) (2) 97
1260 11 3.7 56 4 15 (9) (97) (2) 97
2520 14 3.7 58 5 17 (10) (210) (2) 97
All 10 3.3 57 4 14 (9) (210) (2) 97

P&L Month Table

Year 1 2 3 4 5 6 7 8 9 10 11 12 R Sharpe Win% Trades MaxLoss UW Max Ave
Avg 1.8 0.6 1 0.6 1.5 0.4 1 0.6 0.9 0.9 1.6 1 12 3.9 56 259.6 (0.6) (1.1) 1.8 0.7
2017 0.1 0.1 0.3 0.5 (0.1) 0 0 0 0 0 0 0 0.9 1.3 54.4 93 (0.3) (0.7) 1.3 0.4
2016 1.4 1.7 0.2 (0.4) 1.4 2.3 (0.1) 1.2 0.6 1.8 2.9 0.5 13.5 3.3 57.1 261 (1) (1.7) 1.9 0.7
2015 5.6 0 2.4 1.5 2.5 (0.2) 2.3 1.2 0.8 0.4 1.9 0.5 18.9 4.9 57.9 261 (0.6) (1.1) 1.9 0.9
2014 0.9 (0.5) 0.8 0.1 0.1 0 0.5 (0.1) 3 1.2 0.4 2.9 9.3 4 51.6 260 (0.3) (0.8) 2 0.8
2013 0.4 1.2 1.2 1.5 1 0.6 1.5 0.6 0.6 0.2 1.4 0.8 11 4.7 59.1 257 (0.3) (1) 1.4 0.6
2012 0.6 0.4 0.4 0.3 2.7 (0.5) 1 0.1 (0.3) 0.9 1.2 0.4 7.2 2.9 54.2 259 (0.6) (0.8) 1.7 0.6
2011 0.3 0.4 1.1 0.4 1.4 0.4 0.9 0 3.4 1.2 1.7 0.2 11.4 3.8 56.9 253 (0.5) (1.1) 1.8 0.5
2010 1.7 (0.1) 0.9 0.2 3.6 1.9 1 0.3 0.5 0.5 1.5 0.5 12.5 5 60.9 243 (0.6) (0.7) 1.2 0.4
2009 6.7 2.4 2.6 2 1.1 1.9 0.5 0.5 0.3 0.8 (0.7) 1.7 19.8 4.1 61.7 255 (1.2) (1.5) 1.7 0.4
2008 0.6 1.4 0.8 1 (0.6) (0.3) 0.8 3.3 3.2 14.4 6.7 2.2 33.5 4.2 61.8 261 (2.1) (2.2) 2 0.7
2007 0.1 0.6 (0.3) 0.3 0.6 0.5 0.5 0.3 0.6 2.2 2.5 (0.4) 7.5 3.9 55 259 (0.3) (0.9) 1.3 0.4
2006 0.6 0.4 1.5 1.4 0.1 0 0.2 (0.2) 0.3 0.5 0 (0.1) 4.7 2.7 59.7 251 (0.5) (0.9) 1.2 0.4
2005 (0.1) 0.4 0.8 0 1.7 0.5 (0.5) (0.1) 0.7 0.3 1.1 0.9 5.7 2.9 56.1 254 (0.5) (1.1) 1.3 0.4
2004 0.1 (0.7) 1.4 0.9 1.3 0.1 0.2 0 (0.1) 0.8 (0.1) (0.3) 3.6 1.9 50.4 235 (0.5) (0.9) 1.2 0.3
2003 0.7 1.1 0.3 1.4 0.4 0.6 1.1 (0.2) 0.2 0.5 0.3 0.8 7.2 3.9 56.1 249 (0.3) (0.9) 1.1 0.3
2002 0.7 (0.4) 0.3 0.4 0.6 (0.1) 1 0.5 0.6 0.1 (0.1) (0.4) 3.2 1.8 53 242 (0.3) (0.8) 0.8 0.3
2001 1.3 0.6 0.8 0.5 0.1 0.3 0.5 1.4 1.6 (0.1) 0.5 1 8.5 4.5 57.1 253 (0.3) (0.6) 1.1 0.3
2000 0.5 0.1 (0.4) 0.7 0.7 0.6 (0.5) 1.1 0.8 0.4 1 2.3 7.3 3.6 58.2 235 (0.2) (0.9) 0.8 0.3